The Tactical Asset Allocation (TAA) problem is a problem to accurately capture short to medium term market trends and anomalies in order to allocate the assets in a portfolio so as to optimize its performance by increasing the risk adjusted returns. This project seeks to address the Tactical...

Myths associated with the Efficient Market Hypothesis (EMH) do not necessarily reflect the reality in the performance of investments on the market. Several myths are associated with the EMH which ought to be tested empirically using various mathematical methods and models. There are other...

A simple look at cryptoassets’ historical can lead us think that in recent years most have followed Bitcoin’s wake. If so, it would be very difficult to build an exposure to this market without being highly exposed to Bitcoin, and on the other hand a portfolio with many cryptos poses a great...

Predicting the direction of Stock Indices has always been an appealing topic which has motivated researchers over the years to develop better predictive models. Recently, Machine learning (ML) based models have been frequently deployed to forecast the direction of classic financial time series...

In this exercise, we attempt to develop an institutional quality investment cum trading strategy with small and retail investor in mind. Apart from lack of professional expertise and smaller investible amounts, individual investors also face limitations in their ability to taking short...

Our work aims to develop a stand-alone trading system to construct portfolios that show the benefits of value and momentum style integration and presents the effectiveness of alternative integration methods for long-only absolute return funds, which seeks absolute returns that are not highly...

Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt her trading style to make the best out of the different...

With the volume of activities associated with trading, it has become a very tedious task. The advent of the algorithmic trading has brought with it some positive change such as reduced latency and increase in liquidity in the Financial Market. The Algorithmic Trading also came with some high...

The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive trading strategy for Asian Equity Index Futures by making use of Hurst exponent of the price series. This paper...

Classical Black Scholes model, however still widely used in the financial circles, is known for its inability to generate volatility satisfying the market observations. Besides the assumption of the normal distribution of the underlying assets and perfect liquidity of the market, classical...